Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0053
Annualized Std Dev 0.1738
Annualized Sharpe (Rf=0%) -0.0305

Row

Daily Return Statistics

Close
Observations 4909.0000
NAs 1.0000
Minimum -0.1006
Quartile 1 -0.0051
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0051
Maximum 0.0961
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0109
Skewness 0.1771
Kurtosis 7.4263

Downside Risk

Close
Semi Deviation 0.0077
Gain Deviation 0.0083
Loss Deviation 0.0080
Downside Deviation (MAR=210%) 0.0128
Downside Deviation (Rf=0%) 0.0076
Downside Deviation (0%) 0.0076
Maximum Drawdown 0.5528
Historical VaR (95%) -0.0166
Historical ES (95%) -0.0250
Modified VaR (95%) -0.0158
Modified ES (95%) -0.0201
From Trough To Depth Length To Trough Recovery
2004-12-10 2008-12-16 2012-10-02 -0.5528 1793 883 910
2012-10-11 2018-10-29 NA -0.3311 1898 1363 NA
1999-02-08 1999-12-29 2002-07-03 -0.2583 670 156 514
2002-07-29 2002-11-26 2004-11-03 -0.1613 486 75 411
1999-01-11 1999-01-20 1999-02-02 -0.0551 15 7 8

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.4 0.4 -0.9 -0.4 0 -0.5 -0.5 0 -1.4 -0.5 1.5 0 -1.8
2000 0.5 0 -1 0 0 -0.5 0.5 0 0.5 1 0 1 2
2001 -0.4 0 0 0 0.1 -1.8 0.1 0 0.7 0.4 2.2 -1 0.2
2002 1.7 -1.1 0.8 0 0.1 0.1 -1.3 0 -0.1 0.1 0.1 0.4 0.6
2003 -0.7 -0.7 0.7 0.6 -0.5 0.5 -3 0.6 0 0 0.7 1 -0.9
2004 0 1.1 -0.5 -0.4 1 0.2 1.5 -1.4 -0.9 1 -0.8 -0.1 0.6
2005 0.1 0.1 -0.4 -0.4 2.8 0.8 0.9 -0.3 -0.3 0.1 -1.4 0.7 2.8
2006 -0.8 0 -0.8 -0.4 -1.2 0.9 -0.7 0.1 -0.1 0.5 0.4 0.4 -1.7
2007 0.2 0.2 0 0.5 0 0.4 -1.2 0.1 -0.2 0.7 1 1.2 2.7
2008 -0.1 -0.8 0.3 -0.1 0 0.2 -0.1 0.1 -1 1.7 0.1 5.9 6.2
2009 -0.4 -1.5 0.4 0.6 2.7 1.1 1.4 -0.6 0 0 0 0.2 3.9
2010 1 0.7 0.2 -0.1 -0.6 -2.8 0.7 -0.7 -1.6 0.4 0.7 1.1 -1.1
2011 0.4 0.6 1.3 -1.4 1.1 1.1 -1.1 1 1.1 0.5 1 0.5 6.3
2012 1.1 0.9 0.6 2.7 0.3 -1.8 1.2 -0.9 1.2 -0.8 1.1 1.4 7
2013 -0.4 -0.7 -0.8 -1.3 -1 1 0.4 0.1 -0.2 -1.2 -0.3 -0.2 -4.5
2014 1.3 -0.2 0.2 -0.7 2 -0.3 -0.4 -0.9 1.2 0.6 0 -0.6 2.3
2015 0.2 1.1 -1.2 -0.5 1.2 -0.8 0.3 -0.5 0.7 -1 -0.1 1.4 0.8
2016 1.6 -1 0.7 0 0.3 0.7 -4.2 0 -0.9 -1.2 -0.3 0.4 -4
2017 0.3 0 1.8 -1.3 0.5 1.2 0 1.3 0.2 0.2 0.2 -0.4 4.1
2018 0.7 0.2 -0.4 -0.7 0.5 0.3 0.2 0.1 -1.9 -0.2 1.6 -0.6 -0.2
2019 2.3 -1 0.2 -0.1 0.6 -0.1 1 -1.1 -0.7 -0.8 0.4 0 0.8
2020 -0.6 -1.6 -1.6 -0.5 -0.2 3.3 0.5 0 -0.5 0 0.7 1.1 0.3
2021 0 1.8 -0.5 NA NA NA NA NA NA NA NA NA 1.3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  14.8 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  14.8 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  14.6 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  14.8 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  14.8 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  14.6 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart